Matrix estimation by Universal Singular Value Thresholding
نویسندگان
چکیده
منابع مشابه
Minimax Risk of Matrix Denoising by Singular Value Thresholding
An unknown m by n matrix X0 is to be estimated from noisy measurements Y = X0 + Z, where the noise matrix Z has i.i.d Gaussian entries. A popular matrix denoising scheme solves the nuclear norm penalization problem minX‖Y − X‖F /2 + λ‖X‖∗, where ‖X‖∗ denotes the nuclear norm (sum of singular values). This is the analog, for matrices, of `1 penalization in the vector case. It has been empiricall...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2015
ISSN: 0090-5364
DOI: 10.1214/14-aos1272